passing vector by reference

[SuperKoko]

First bug (the one which implies a syntax error): You can't define a new variable inside an expression (BTW, you would not be able to access the variable in following statements):

EnumWindows((WNDENUMPROC) EnumProc,vector<CMyClass*> arMyClass);

It should be:

vector<CMyClass*> arMyClass;
EnumWindows(EnumProc,reinterpret_cast<LPARAM>(&arMyClass));

Second bug: You don't declare EnumProc with the correct prototype. Behavior is undefined for the C++ standard, even though with the current Win32 CALLBACK calling convention, it's likely to not work too bad.
Moreover, you define EnumProc with a value vector<CMyClass*> parameter (you forgot the & character).

If you want to avoid calling conventions issues under Win64, you should respect the prototype:

BOOL CALLBACK EnumProc(HWND thwnd,LPARAM); // declaration

BOOL CALLBACK EnumProc(HWND thwnd,LPARAM lParam) { // definition
  vector<CMyClass*> &l=*reinterpret_cast<vector<CMyClass*>*>(lParam);
  // your code
}

Do you really need a dynamic allocation for CMyClass objects? Would not a vector<CMyClass> work as well?
Why does CMyClass have a virtual destructor? It has no other virtual function. Do you derive from it?